Sökning: "mean reversion"

Hittade 3 avhandlingar innehållade orden mean reversion.

  1. 1. Financial Applications of Markov Chain Monte Carlo Methods

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Andreas Graflund; Lunds universitet.; Lund University.; [2002]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Sammanfattning : Popular Abstract in Swedish Avhandlingen omfattar fyra artiklar inom empirisk finansiell ekonomi. Det första kapitlet är en kort sammanfattning av avhandlingens innehåll. Det andra kapitlet, Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon. LÄS MER

  2. 2. Contributions to Numerical Solution of Stochastic Differential Equations

    Detta är en avhandling från Chalmers University of Technology

    Författare :Anders Muszta; Chalmers tekniska högskola Göteborgs universitet.; Chalmers University of Technology University of Gothenburg.; Göteborgs universitet.; Gothenburg University.; [2005]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATEMATIK; MATHEMATICS; adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation;

    Sammanfattning : .... LÄS MER

  3. 3. Two Essays in Empirical Finance: Unit-Root Testing in the Presence of Structural Breaks

    Detta är en avhandling från Chalmers University of Technology

    Författare :Florin G. Maican; Göteborgs universitet.; Gothenburg University.; [2008]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. LÄS MER